https://github.com/statmixedml/catboostlss

An extension of CatBoost to probabilistic modelling
https://github.com/statmixedml/catboostlss

catboost distributional-regression gamlss machine-learning prediction-intervals probabilistic-forecasts uncertainty-estimation

Last synced: 5 months ago
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An extension of CatBoost to probabilistic modelling

• Host: GitHub
• URL: https://github.com/statmixedml/catboostlss
• Owner: StatMixedML
• License: mit
• Created: 2019-12-20T07:24:23.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2023-10-27T10:39:08.000Z (over 2 years ago)
• Last Synced: 2025-01-30T17:39:34.144Z (over 1 year ago)
• Topics: catboost, distributional-regression, gamlss, machine-learning, prediction-intervals, probabilistic-forecasts, uncertainty-estimation
• Homepage:
• Size: 6.82 MB
• Stars: 142
• Watchers: 14
• Forks: 13
• Open Issues: 4
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# CatBoostLSS - An extension of CatBoost to probabilistic modelling

We propose a new framework of [CatBoost](https://github.com/catboost/catboost) that predicts the entire conditional distribution of a univariate response variable. In particular, **CatBoostLSS** models all moments of a parametric distribution, i.e., mean, location, scale and shape (LSS), instead of the conditional mean only. Choosing from a wide range of continuous, discrete and mixed discrete-continuous distributions, modelling and predicting the entire conditional distribution greatly enhances the flexibility of CatBoost, as it allows to gain additional insight into the data generating process, as well as to create probabilistic forecasts from which prediction intervals and quantiles of interest can be derived. In the following, we provide a short walk-through of the functionality of **CatBoostLSS**.

## News

Repo is currently not maintained.

## Reference Paper

[![Arxiv link](https://img.shields.io/badge/arXiv-CatBoostLSS%3A%20An%20extension%20of%20CatBoost%20to%20probabilistic%20forecasting-color=brightgreen)](https://128.84.21.199/abs/2001.02121)